Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1158
Annualized Std Dev 0.4632
Annualized Sharpe (Rf=0%) 0.2501

Row

Daily Return Statistics

Close
Observations 3711.0000
NAs 1.0000
Minimum -0.2908
Quartile 1 -0.0111
Median 0.0019
Arithmetic Mean 0.0009
Geometric Mean 0.0004
Quartile 3 0.0145
Maximum 0.2542
SE Mean 0.0005
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0018
Variance 0.0009
Stdev 0.0292
Skewness -0.4760
Kurtosis 11.2823

Downside Risk

Close
Semi Deviation 0.0214
Gain Deviation 0.0203
Loss Deviation 0.0240
Downside Deviation (MAR=210%) 0.0251
Downside Deviation (Rf=0%) 0.0211
Downside Deviation (0%) 0.0211
Maximum Drawdown 0.8635
Historical VaR (95%) -0.0435
Historical ES (95%) -0.0719
Modified VaR (95%) -0.0443
Modified ES (95%) -0.0855
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2013-05-14 -0.8635 1497 444 1053
2018-08-30 2020-03-23 2020-12-17 -0.6919 580 392 188
2015-06-24 2016-02-11 2016-08-15 -0.3687 289 161 128
2014-07-02 2014-10-13 2014-11-24 -0.2079 102 72 30
2018-01-29 2018-02-08 2018-07-09 -0.1880 112 9 103

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA 0.4 -1.4 0.8 -1.1 -2.7 -0.6 -1.8 -6.3
2007 2.5 -0.9 0.8 0.5 0.8 -0.4 1.5 3.1 2.4 -4.8 1.2 -2.3 4.2
2008 5 -4.9 6.9 2.4 1.6 0.1 -0.9 -2.1 -1 5.7 -20.3 4 -6.5
2009 -5.5 -1.8 2.9 0 6.5 2.1 -0.1 -4.4 -6 -5.5 2.8 -2.9 -12.1
2010 2.7 3.6 2 -4.3 -5.1 -1.2 0.5 6.7 0.4 -0.1 4.1 -0.8 8.2
2011 3 -3.3 1.5 0.6 -5.1 3.5 -1.2 -3.3 -5.8 -6.2 -1.4 -1.1 -17.8
2012 4.1 1.6 -0.2 1.1 -6.4 5.8 -1.8 1.1 -1 5 -0.1 3.4 12.6
2013 1.7 -0.5 -2.1 -3.7 -1.9 2.4 4.3 -3.1 2.9 0.3 -0.6 0.7 0
2014 -1 0.3 1.7 0.3 -0.6 1.5 -0.2 0.8 -2.9 2.2 -2.5 -2 -2.4
2015 -2.7 -0.9 -0.6 1.7 0.7 0.7 0.3 -5.9 -0.5 -0.3 1.7 -1.8 -7.5
2016 -0.3 4.2 1 -1.1 0.8 0.5 -0.7 -0.2 1.8 -2 -0.5 -0.8 2.5
2017 -0.6 3.4 0.1 0.7 3.1 0.1 0.5 0.6 0.2 -0.5 -0.4 -1 6.1
2018 0.4 -0.7 2.7 0.7 1.1 0.4 -0.7 0.5 -1.7 3.9 1.4 2.5 11.1
2019 0.5 1.5 2.7 -2.3 -2 0.6 -3.1 0.3 -3.6 2.9 -2.1 0.3 -4.5
2020 -3.9 -3.8 -11.5 -6.6 2.5 -1.4 -1.3 1.5 2.5 -1.5 2.6 0.4 -19.7
2021 4.2 5.8 -0.3 NA NA NA NA NA NA NA NA NA 10

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2006-06-21  12.1 SPY    125.  0.0074   0.0122  -0.0089  -0.0412   0.0291    0.257   0.0247 GLD    58.3  0.018     0.0487
2 2006-06-22  11.9 SPY    124. -0.0044  -0.0132  -0.0057  -0.0434   0.0238    0.265   0.0214 GLD    57.7 -0.0103    0.0072
3 2006-06-23  12.1 SPY    124. -0.0002  -0.0017  -0.0137  -0.0443   0.0382    0.263   0.0262 GLD    58.0  0.0045    0.0054
4 2006-06-26  12.2 SPY    125.  0.0044   0.0107  -0.0215  -0.0387   0.0505    0.282   0.0263 GLD    58.3  0.005     0.0341
5 2006-06-27  12.0 SPY    124. -0.0086  -0.0015  -0.0348  -0.0411   0.0399    0.254   0.0121 GLD    57.7 -0.0103    0.0066
6 2006-06-28  12.0 SPY    125.  0.0068  -0.0021  -0.0107  -0.0406   0.0383    0.277   0.0075 GLD    57.5 -0.00240  -0.0135
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart